Estimation and Forecasting in INAR(P) Models Using Sieve Bootstrap

29 Pages Posted: 19 Mar 2018

See all articles by Luisa Bisaglia

Luisa Bisaglia

University of Padua - Department of Statistical Sciences

Margherita Gerolimetto

Ca Foscari University of Venice

Date Written: March 2, 2018

Abstract

In this paper we analyse some bootstrap techniques to make inference in INAR(p) models. First of all, via Monte Carlo experiments we compare the performances of these methods when estimating the thinning parameters in INAR(p) models. We state the superiority of sieve bootstrap approaches on block bootstrap in terms of low bias and Mean Square Error (MSE). Then we apply the sieve bootstrap methods to obtain coherent predictions and confidence intervals in order to avoid difficulty in deriving the distributional properties.

Keywords: INAR(p) models, estimation, forecast, bootstrap

JEL Classification: C22, C53

Suggested Citation

Bisaglia, Luisa and Gerolimetto, Margherita, Estimation and Forecasting in INAR(P) Models Using Sieve Bootstrap (March 2, 2018). University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 6/WP/2018, Available at SSRN: https://ssrn.com/abstract=3141801 or http://dx.doi.org/10.2139/ssrn.3141801

Luisa Bisaglia

University of Padua - Department of Statistical Sciences ( email )

Via Battisti, 241
Padova, 35121
Italy

Margherita Gerolimetto (Contact Author)

Ca Foscari University of Venice ( email )

Dorsoduro 3246
Venice, Veneto 30123
Italy

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